Abstract
In the last few years we have witnessed growing interest in Dynamic Financial Analysis (DFA) in the nonlife insurance industry. DFA combines many economic and mathematical concepts and methods. It is almost impossible to identify and describe a unique DFA methodology. There are some DFA software products for nonlife companies available in the market, each of them relying on its own approach to DFA. Our goal is to give an introduction into this field by presenting a model framework comprising those components many DFA models have in common. By explicit reference to mathematical language we introduce an up-and-running model that can easily be implemented and adjusted to individual needs. An application of this model is presented as well.
Volume
31
Page
213-249
Number
1
Year
2001
Keywords
Nonlife insurance, Dynamic Financial Analysis, Asset/Liability Management, stochastic simulation, business strategy, efficient frontier, solvency testing, interest rate models, claims, reinsurance, underwriting cycles, payment patterns.
Categories
New Valuation Techniques
New Risk Measures
Publications
ASTIN Bulletin
